Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0233
Annualized Std Dev 0.2303
Annualized Sharpe (Rf=0%) 0.1013

Row

Daily Return Statistics

Close
Observations 4534.0000
NAs 1.0000
Minimum -0.1213
Quartile 1 -0.0059
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0072
Maximum 0.1542
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0145
Skewness -0.4066
Kurtosis 10.4985

Downside Risk

Close
Semi Deviation 0.0107
Gain Deviation 0.0099
Loss Deviation 0.0118
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0106
Downside Deviation (0%) 0.0106
Maximum Drawdown 0.6450
Historical VaR (95%) -0.0221
Historical ES (95%) -0.0364
Modified VaR (95%) -0.0222
Modified ES (95%) -0.0415
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.6450 3362 339 NA
2002-11-22 2003-03-12 2003-05-15 -0.2015 87 45 42
2006-05-10 2006-06-13 2006-10-25 -0.1263 118 24 94
2007-07-13 2007-08-16 2007-10-05 -0.1257 60 25 35
2004-02-18 2004-08-11 2004-11-04 -0.1161 175 116 59

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA NA NA NA 1.7 0.8 -3.4 -0.9
2003 -1.9 1.9 2.2 -1.3 -0.8 0.1 -1.4 -0.5 1.1 -0.5 1.6 1.6 2.1
2004 -0.9 1.1 0.8 0.5 -0.7 -1.6 0.2 0.1 0.7 0.8 1.7 -0.7 2.1
2005 1.1 0.4 -1.5 -0.6 1.3 0 1.2 1.8 -0.4 0.3 1.3 -1 4.1
2006 -0.1 0.7 -0.8 0 0.6 1.1 -0.9 0.6 0 -0.4 -0.9 -0.4 -0.6
2007 0.8 -1.4 0.1 -0.1 0.6 0.5 -0.3 2.1 1 -2.8 0.1 -0.5 0
2008 1.7 -2.5 3.6 1 -0.1 -1.1 -0.1 -0.6 0.2 2.1 -7.2 1.8 -1.8
2009 -0.5 -0.8 0.9 1.9 2.9 1.9 0.9 -2.9 -2.8 -2.2 2.7 -0.5 1.2
2010 2 0.5 1.6 -1.2 -0.8 1.9 -0.3 4.1 -0.7 0 3.2 0 10.6
2011 2.3 -1.5 0.2 0.5 -2.1 0.6 -2.8 -0.8 -2.3 -3.9 0.1 0.5 -9.1
2012 1.9 0.9 0.9 1.9 -1.8 3.8 0.5 0.9 0.9 1.2 0.4 1.9 14.1
2013 0.8 -0.6 -0.4 -0.5 -1.7 0.8 0.9 -0.9 0.5 -0.6 0.4 0.5 -0.9
2014 -1 0.2 0.5 0.3 0.1 0.8 -0.8 0.1 -1 1.3 -0.2 -0.9 -0.8
2015 -1.6 -0.1 0.9 0.4 -0.9 0.3 0.4 -2.9 -0.1 -0.1 0.8 -1.3 -4.2
2016 -0.1 2.6 -1 -0.6 -0.1 -0.1 -1.1 0.2 0.8 -0.5 -0.4 0.6 0.3
2017 0.4 1.1 0.3 0.5 0.3 -0.3 0.4 0.2 0.9 -0.1 -0.2 0 3.7
2018 -0.4 -1.1 0.6 -0.6 0.9 1 -0.8 -1.1 -0.1 1.5 -0.2 0 -0.5
2019 0.2 0.5 1 -0.8 -0.8 0.2 -0.1 0.3 -0.9 0.6 -0.6 0.6 0.2
2020 -1.4 -0.9 -4.2 -2.5 1.9 0.4 -2.1 -0.8 0.2 -0.5 1.9 -1 -8.7
2021 1.5 1.6 0.1 NA NA NA NA NA NA NA NA NA 3.2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart